The technical explanation for this is that if a book's metadata contains an ASIN, the system will try to download the book cover from Amazon.

By default, calibre generates a fake ASIN (a GUID) and inserts it into the book's metadata. So the Kindle will say "Hey, I'll ask online for the cover", but the webservice obviously doesn't know the ID of the book.

Checking the facebook option in the calibre options prevents calibre from putting that fake ASIN in the book, so the cover is taken from the file, instead of searching for it online.

Spoiler:

This is probably exactly the same code as on the Kindle Touch, where it is fixed via an (unofficial) patch. See this post (and the following one) for more info.

PS: It will take some time, but with 99% confidence, JBPatch will eventually also support the Paperwhite.